Market liquidity and stock returns in the Norwegian stock market

被引：20
作者：
Leirvik, Thomas [1 ]
Fiskerstrand, Sondre R. [1 ]
Fjellvikas, Anders B. [1 ]
机构：
[1] Nord Univ, Grad Sch Business, Univ Aleen 11, N-8049 Bodo, Norway
来源：
FINANCE RESEARCH LETTERS | 2017年 / 21卷
关键词：
Market liquidity; Stock returns; Stocks; Survivor bias free; Predictability; BID-ASK SPREAD; ILLIQUIDITY; RISK;
D O I：
10.1016/j.frl.2016.12.033
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983-2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity. This is in strong contrast to the evidence of a significant sensitivity to liquidity in the US market, and suggest further analysis on the topic. (C) 2017 Elsevier Inc. All rights reserved.
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页码：272 / 276
页数：5
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